moshferatu/options-backtesting
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Add entry and exit slippage to option spread strategies so that they can ultimately be configured by the client

Browse Source
This commit is contained in:
moshferatu 2024-03-10 05:23:26 -07:00
parent 37c3ebe1fa
commit 50269972ae
3 changed files with 15 additions and 5 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

8
backtesting/credit_targeting.py
View File

@ -17,7 +17,9 @@ def create_strategies(credit_target: float, entry_time: str, number_of_contracts
number_of_contracts = number_of_contracts,
spread_width = 50,
stop_loss_multiple = 1.00,
trade_entry_time = entry_time
trade_entry_time = entry_time,
entry_slippage = 0.10,
exit_slippage = 0.20
)
put_spread_strategy = CreditTargetStrategy(
credit_target = credit_target,
@ -25,6 +27,8 @@ def create_strategies(credit_target: float, entry_time: str, number_of_contracts
number_of_contracts = number_of_contracts,
spread_width = 50,
stop_loss_multiple = 1.00,
trade_entry_time = entry_time
trade_entry_time = entry_time,
entry_slippage = 0.10,
exit_slippage = 0.20
)
return call_spread_strategy, put_spread_strategy

8
backtesting/delta_targeting.py
View File

@ -17,7 +17,9 @@ def create_strategies(delta_target: float, entry_time: str, number_of_contracts:
number_of_contracts = number_of_contracts,
spread_width = 50,
stop_loss_multiple = 1.00,
trade_entry_time = entry_time
trade_entry_time = entry_time,
entry_slippage = 0.10,
exit_slippage = 0.20
)
put_spread_strategy = DeltaTargetStrategy(
delta_target = -delta_target,
@ -25,6 +27,8 @@ def create_strategies(delta_target: float, entry_time: str, number_of_contracts:
number_of_contracts = number_of_contracts,
spread_width = 50,
stop_loss_multiple = 1.00,
trade_entry_time = entry_time
trade_entry_time = entry_time,
entry_slippage = 0.10,
exit_slippage = 0.20
)
return call_spread_strategy, put_spread_strategy

4
backtesting/option_spread_strategy.py
View File

@ -8,4 +8,6 @@ class OptionSpreadStrategy:
number_of_contracts: int
spread_width: int
stop_loss_multiple: float
trade_entry_time: str
trade_entry_time: str
entry_slippage: float
exit_slippage: float